Editing different meshes together -- Bezier curve and Circle
You can never enter edit mode in two objects at the same time, this is a fundamental part of Blenders design philosophy
If you want to edit two meshes at the same time join them together with Ctrl+J. Have in mind that this may have undesirable effects, and will mess with modifiers.
Knife project doesn't require entering edit mode in two objects at the same time, only the object to be cut. You may be confusing it object mode Boolean operations
Knife project will not work well for what you are trying to achieve. It only works when the "knife" object is a flat shape or fundamentally bi-dimentional 


You may want to use the Boolean modifier or edit mode Boolean Operations instead. The former requires two objects, but no edit mode, the later requires you yo join both objects.

Have in mind that both Knife Project and Boolean operations are discourage modelling tools. Booleans are very prone to errors, and both will produce low quality meshes, with bad topology, duplicate geometry, artifacts, hard to texture and bad for animation.